When putting the direct link to your swf it works on ie.
http://clubentertainment.ie/c/art-perf/CU3ER.swf
It can be a cross-site problem.
here the code used in CU3ER for demo http://getcu3er.com/features/
<script type="text/javascript">
var vars = { xml_location : '/inc/cu3er/config_features_overview.xml?v=2'};
var params = { wmode:'transparent' };
var attributes = { id:'CU3ER', name:'CU3ER' }; // give an id to the flash object
swfobject.embedSWF("/CU3ER.swf", "cu3er-container", "300", "390", "9.0.45", "/js/expressInstall.swf", vars, params, attributes );
</script>
EDIT:
by just putting your code in the body not the header I got the swf working in ie
<body >
<script type="text/javascript">
// add your FlashVars
var vars = { xml_location : 'http://clubentertainment.ie/c/art-perf/CU3ER-config.xml' };
// add Flash embedding parameters, etc. wmode, bgcolor...
var params = { bgcolor : '#ffffff' };
// Flash object attributes id and name
var attributes = { id:'CU3ER', name:'CU3ER' };
// dynamic embed of Flash, set the location of expressInstall if needed
swfobject.embedSWF('http://clubentertainment.ie/c/art-perf/CU3ER.swf', "CU3ER", 500, 250, "9.0.45", "http://clubentertainment.ie/c/art-perf/js/expressInstall.swf", vars, params, attributes );
// initialize CU3ER class containing Javascript controls and events for CU3ER
// var CU3ER = new CU3ER("CU3ER");
</script>
<!-- CU3ER content HTML part starts here -->
<div id="CU3ER">
<noscript>
<!-- modify this content to provide users without Flash or enabled Javascript with alternative content information -->
<p>Click to get Flash Player<br /><a href="http://www.adobe.com/go/getflashplayer"><img src="http://www.adobe.com/images/shared/download_buttons/get_flash_player.gif" alt="Get Adobe Flash player" /></a></p>
<p>or try to enable JavaScript and reload the page
</p>
</noscript>
</div>
<!-- CU3ER content HTML part ends here -->
</body>